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Tick Replay
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Tick Replay
Any explanation of why Tick Replay was not designed for backtesting in Strategy Analyzer and not accurate?Tags: None
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Hello connorgrant5,
Thank you for your post.
In a backtest. Fills are determined based on 4 data points, OHLC of a bar since that is the only information that is known during a backtest and strategies can only be processed at the close of each bar.
Historical fill processing in the Strategy Analyzer will use the primary data series to simulate order fills. For greater order-fill resolution and accuracy in strategy backtesting, you can use the High Fill Resolution in the Strategy Analyzer. Furthermore, you cannot combine both Tick Replay and High Order Fill resolution.
Here is the Backtesting with intrabar granularity Reference Sample to demonstrate how to create a secondary data series for "intrabar" fills in a backtest.
Backtesting with intrabar granularity - https://ninjatrader.com/support/foru...ead.php?t=6652
Here are the Multi-Time Frame & Instruments and Understanding Historical Fill Processing Help Guides to assist you further.
Tick Replay requires more than the OHLC of a bar as it allows for OnMarketData() and OnBarUpdate() events to be played back in the exact sequence as if they were live.
Please do not hesitate to contact us for any other NinjaTrader inquiries you may have.
Shawn B.NinjaTrader Customer Service
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